This advice assumes you are from America, but i'm sure many countries have similar laws.

My advice would be to only sign for a package if the seller tells you there would be a signature required, but even if you did sign for a package in some sort of weird sting operation, signing for a package which cannot be proven to be requested by you (that nobody can prove you knew the contents of) isn't any admission of guilt.
Chances of being busted are close to nil, especially if it's a domestic order. If it's an international package, I think you'd just get a 'love letter' from customs if they pull it aside for inspection and by some odd chance decide to open it, which is basically unheard of unless you are importing from a country that is considered 'a known importer' of illicit substances by U.S. customs, such as India.

Ofc if the shipper has requested delivery confirmation, you will NEED to sign for it to receive your shipment.

EDIT: Even though some country's mail is more vigorously searched, normally something like 99% of shipments still make it through customs if the seller knows how to package discreetly, and SilkRoad has tutorials for all sellers on packaging properly to make mail seem official.

Some folks claim that a signature is necessary for a controlled delivery by LE, but I've never seen hard evidence that this is true. At this point, I'm convinced it's a myth along the same lines as "if you ask a cop if they're a cop, they have to tell you." A signature indicates receipt of delivery, not ownership. I've never heard a plausible reason why police would need a signature.

All that said, if a vendor claims never to require a signature and someone shows up asking you to sign for something, politely decline and close the door.

It makes literally no difference. Signing for a package is not an admission or confession, it's just signing for a package. Either they bust you for possession, or they don't. Either they bust you for ordering it or they don't. There's no legal advantage to LE to get a signature.